A few years ago I came up with a useful improvement to the Jarrow-Yilidirm inflation model: let's diffuse the inflation curve rather than the real-yield curve. It turns out that this gives the modern inflation derivatives trader a much better risk management tool. In the attached paper I give the details. I wrote it up … Continue reading Improving the Jarrow-Yildirim inflation model
The value of open source
Of the many points made by Tom Preston-Warner in his article Open source (almost) everything, I particularly like the paragraph on why you should let your coders work on open source projects: ... dedication to open source code is an amazingly effective way to retain ... talent. Let’s face it, great developers can take their … Continue reading The value of open source
TypeScript with Underscore, a simple Grunt way
I use Underscore an awful lot. I have many good things to say about Underscore in the context of Functional Programming, but this post explains a simple one-liner which got my Underscore code quickly into our ever-increasing collection of TypeScript modules. This is not a long term, fully robust solution incorporated into our Grunt build … Continue reading TypeScript with Underscore, a simple Grunt way
A walkthrough guide to building yourself a Linux system for coding
In any technical role it is important to strike the balance between getting-things-done-quickly and knowing-all-the-details, and this is especially true when it comes to building computer systems. You can find lots of different Linux distributions to download, and most have a relatively easy system for adding components or software via some kind of package manager. … Continue reading A walkthrough guide to building yourself a Linux system for coding
Poker: become an ‘informed’ beginner
Introductory poker texts generally aim to take you from beginner- to intermediate-level. Instead, this post aims to spell out a few key messages that will take you from absolute beginner to informed beginner. It is a quick way to help you appreciate what poker is really about. If you dabble with online playing it should … Continue reading Poker: become an ‘informed’ beginner
What do normal subgroups look like?
I am in the process of writing a longer post on Galois Theory (see here), and one of the central concepts is that of a normal subgroup. We all know the definition (and their equivalents) from classes/books, but anyone who likes to 'see their mathematics' is left with the question: ... but what do they … Continue reading What do normal subgroups look like?
You are not a programmer!
Want to read an excellent article on how programmers should market themselves to the World of Business? Click here to view. The site is built by Patrick McKenzie and has lots (really lots) of other great content. This video here of a presentation he gave on selling to underserved markets is a personal favourite.
Writing Latex articles with Vim
Vim is a text editor, part of the standard suite on a UNIX system. This is a short post which is a store of some Vim keystrokes that I am progressively discovering, and which are worth sharing for anyone interested. The main point is that with Vim you learn a new method of moving around … Continue reading Writing Latex articles with Vim
Interesting quant blog
A quick post to show a link to the blog of Tim Johnson at Heriot-Watt Unviersity. Lots of writing on derivatives topics, from models to regulations, plus plenty on markets and the crisis. Worth a look. Click here to visit.
Are our models too complex?
Gillian Tett is a well-respected writer for the Financial Times and frequently picks up the topic of complexity in financial markets. In a recent article (see here) she makes a case that the era of number crunching is over, and that the world of investments is back again firmly in the domain of human relationships … Continue reading Are our models too complex?
Fermat's Last Spreadsheet 